Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

Hiroaki Jotaki, Hiroshi Takahashi, Yasuo Yamashita, Takao Terano

研究成果: Conference contribution

抄録

This study focuses on how the cumulative excess returns (CER) of corporate bonds in the Japanese market respond to simultaneous publications of current net earnings and management's net earnings forecast. The estimation results using a regression model generalizing the interaction of the current net earnings and management's net earnings forecast show that the CER of corporate bonds is influenced mutually by the two pieces of information. In particular, we confirmed that declining current net earnings and management net earnings forecasts will have the most negative impact on corporate bonds. These results reveal interesting facts about the mechanism by which financial information is reflected in prices in the corporate bond market as well as the excess source of the investment return in asset management practice.

本文言語English
ホスト出版物のタイトルProceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
出版社IEEE Computer Society
ページ631-636
ページ数6
2
ISBN(電子版)9781538603673
DOI
出版ステータスPublished - 2017 9 7
イベント41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 - Torino, Italy
継続期間: 2017 7 42017 7 8

Other

Other41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
CountryItaly
CityTorino
Period17/7/417/7/8

ASJC Scopus subject areas

  • Software
  • Computer Science Applications

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